How do I set up an email account on iCloud?

Here is how to ➡️ Change your Apple ID - Apple Support

I would encourage setting and confirming your security questions and your trusted telephone number (and possibly temporarily adding another trusted telephone number) and only then changing the associated email address. Give yourself a path back in, if the switch-over fails for some reason.

I’m not quite sure what you’re asking about, here.

You have an Apple ID, and you wish to add or change an associated email address.

You mention iCloud, which might mean you’re using an email address at Apple, and not an Apple ID associated with a different email provider.

Are you looking to change your AppleID and its associated (Apple? Not-Apple?) email address, or are you looking to create a new email alias for an existing Apple ID (Apple IDs with Apple email addresses can have a few aliases), or maybe looking to create a new Apple ID?